EFTA01138373.pdf

From: Richard Kahn <I To: "jeffrey E." <jeevacation“gmail.com> Subject: Fwd: Indicative Brazil CDS Unwind Level [C] Date: Thu, 14 Jan 2016 18:05:11 +0000 Inline-Images: ATT00001.gif position showed 1,339,493 last night which they claim is mid bid bid below appears terrible please advise thank you Richard Kahn HBRK Associates Inc. 575 Lexington Avenue 4th Floor New York, NY 10022 tel fax cell Begin forwarded message: From: Vahe Stepanian Subject: Indicative Brazil CDS Unwind Level [C] Date: January 14, 2016 at 12:50:22 PM EST To: "jeffrey E." <jeevacation mail.com> Cc: Daniel Sabba < >, Ariane Dw er < >, Paul Morris < >, Stewart Oldfield >, Richard Kahn Classification: Confidential Jeffrey — per Rich's request, please find an indicative level below to unwind your Brazil CDS protection. We will follow up with separate emails for (1) GE Bond and (2) JPYKRW. DB's bid for your Brazil CDS protection is 445bps p.a. This equals an unwind fee payment by DB of $1,256,044. Recall you paid 491,941 to enter the trade. Original unofficial trade details: BraSov default swap with SOUTHERN FINANCIAL LLC DB Sells default protection on FEDERATIVE REPUBLIC OF BRAZIL NOTIONAL : USD 10,000,000 TRADE DATE : 13-Jan-2015 IM% : 1 EFFECTIVE : 14-Jan-2015 TERMINATION : 20-Mar-2020 REF OB : BRAZIL 12.25% OF 03/30 ISIN: US105756AL40 CREDIT EVENTS : Failure to Pay, R, Repudiation/Moratorium ISDA Definition : 2014 PRICE : 205 bps per annum (COUPON: 100 bps per annum) UPFRONT FEE : DB Receive USD 491,941 EFTA01138373 STANDARD TRADE : Yes HARDWIRING : \fey- CLEARING HOUSE : Trade details: iDeal Information ≥fSpreads Reference: FEDERATIVE REPUBLIC OF BRAZIL Curve date: 13-Jan-2015 Counterparty: SOUTHERN FINANCIAL LLC Benchmark: USD Business days: LDN,NYC Business days adj: Following Buy/Sell: Sell Use flat curve Notional: USD 10mm Date Spread (bps) Effective date: 14-Jan-2015 20-Sep-2015 205.00 Maturity date: 20-Mar-2020 Day count: A/360 20-Mar-2018 205.00 Payment frog: Quarterly 20.Mar-2017 205.00 Pay accrued: True 20-Mar-2018 205.00 Curve recovery: True 20.Mar-2019 205.00 Recovery rate: 0.25 20-Mar-2020 205.00 Deal rate: 100 20-Mar-2022 205.00 20.Mar-2025 205.00 Calculator Valuation date: 13-Jan-2015 Cash settled on: 16-Jan-2015 Price: 95.01670000 Repl sprd: 205 Principal: 498.330.00 Sprd DV01: -4.576.8268824283 Frequency: Accrued: -6,389.00 Days: 23 Day count: A/360 Market Val: 491,941 IR DV01: -129.8125752157 Recovery rate: 0.4 Thank you, Vahe Vahe Stepanian Assistant Vice President I Key Client Partners Deu " ies Inc. Tel. Mobile - Email All trade execution information contained herein is being provided as an accommodation at your request in advance of your receipt of the official trade confirmation(s). Additional trade detail information available upon request. The terms of the trade(s) may be subject to change prior to settlement, and therefore the official trade confirmation(s) and account statements issued by Deutsche Bank shall govern. Deutsche Bank is not responsible for any discrepancy between the informal execution report and the official trade confirmation(s) or account statements. EFTA01138374 This communication may contain confidential and/or privileged information. If you are not the intended recipient (or have received this communication in error) please notify the sender immediately and destroy this communication. Any unauthorized copying, disclosure or distribution of the material in this communication is strictly forbidden. Deutsche Bank does not render legal or tax advice, and the information contained in this communication should not be regarded as such. EFTA01138375